The dynamics of UK and US inflation expectations
AbstractThe relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering of the relationship between inflation pass through and various explanatory variables. Empirical results are related to theoretical models of anchored, contained and unmoored inflation expectations. For neither country are anchored or unmoored inflation expectations found. For the US, contained inflation expectations are found. For the UK, empirical findings are not consistent with the specific model of contained inflation expectations presented here, but are consistent with a broader view of expectations being constrained by the existence of an inflation target.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 56 (2012)
Issue (Month): 11 ()
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Web page: http://www.elsevier.com/locate/csda
Bayesian; Smoothly mixing regressions model; Inflation pass through;
Other versions of this item:
- Deborah Gefang & Gary Koop & Simon Potter, 2011. "The Dynamics of UK and US Inflation Expectations," Working Papers 1120, University of Strathclyde Business School, Department of Economics.
- Gefang, Deborah & Koop, Gary & Potter, Simon M., 2008. "The Dynamics of UK and US Inflation Expectations," SIRE Discussion Papers 2008-59, Scottish Institute for Research in Economics (SIRE).
- Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011. "The Dynamics of UK and US Inflation Expectations," SIRE Discussion Papers 2011-47, Scottish Institute for Research in Economics (SIRE).
- Deborah Gefang & Gary Koop & Simon M. Potter, 2009. "The Dynamics of UK and US Inflation Expectations," Working Paper Series 14_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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